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REDWOOD CITY
<br />For the Quarter Ended June 30, 2018
<br />Portfolio Activity
<br />Trade
<br />Settle
<br />1,500,000 09659CDB1 BNP PARIBAS NY BRANCH COMM PAPER
<br />0.00% 4/11/18 1,500,000.00
<br />0.00
<br />EL3/18
<br />Maturity
<br />Transact Yield Realized
<br />Date
<br />Date
<br />Par ($)
<br />CUSIP
<br />Security Description
<br />Coupon
<br />Date
<br />Amt ($) at Market G/L (BV)
<br />6/15/18
<br />6/15/18
<br />720,000
<br />89238BAD4
<br />TACIT 2018-A A3
<br />2.35%
<br />5/16/22
<br />1,410.00
<br />1,299,625.49 mmjjjjjjjj(17,524.32)
<br />4/10/18 4/13/18
<br />6/21/18
<br />3135GOT60
<br />780,000
<br />43813FAC
<br />ROT 2017-4 A3
<br />456,946.98
<br />2.42%
<br />332.50
<br />6/23/18
<br />6/23/18
<br />2,400,000
<br />46625HLW8
<br />JP MORGAN CHASE & CO CORP NT (CALLABLE)
<br />2.75%
<br />6/23/20
<br />33,000.00
<br />2.47%
<br />(52,218.58)
<br />000,000
<br />3136GV7
<br />FNMA NOTES (CALLA
<br />912828Q37
<br />/28/19
<br />18,000.
<br />6/28/18
<br />6/28/18
<br />5,000,000
<br />3135GOK93
<br />FNMA NOTES (CALLABLE)
<br />1.25%
<br />6/28/19
<br />31,250.00
<br />/30/18
<br />6/30/
<br />200,000
<br />W,153.W
<br />RY NOTES
<br />(18,312.12)
<br />28,000.00
<br />Total INTEREST
<br />61,140,000
<br />525,402.42
<br />MATURITY
<br />4/11/18
<br />4/11/18
<br />1,500,000 09659CDB1 BNP PARIBAS NY BRANCH COMM PAPER
<br />0.00% 4/11/18 1,500,000.00
<br />0.00
<br />EL3/18
<br />�/23/�
<br />1,500,000 06538CDP3_ MUFG BANK LTD/NY COMM PAPER
<br />4/23/18 1,500,000.00
<br />0.00
<br />6/4/18
<br />6/4/18
<br />500,000 09659CF45 BNP PARIBAS NY BRANCH COMM PAPER
<br />0.00% 6/4/18 500,000.00
<br />0.00
<br />Total MATURITY
<br />3,500,000
<br />3,500,000.00
<br />0.00
<br />SELL
<br />4/3/18
<br />3,000,000
<br />3134G9MA2
<br />FHLMC NOTES (EX -CALLABLE)
<br />0
<br />5/24/19
<br />2,975,921.25
<br />2.21%
<br />(36,360.00)
<br />ji
<br />4/6/18 4/9/18
<br />3,000,000
<br />3136G3MC6
<br />FNMA NOTES (EX -CALLABLE)
<br />1.20%
<br />5/24/19
<br />2,980,110.00
<br />2.21%
<br />(33,390.00)
<br />1,345,000
<br />912828Q3
<br />US TREASURY NOTES
<br />1,299,625.49 mmjjjjjjjj(17,524.32)
<br />4/10/18 4/13/18
<br />465,000
<br />3135GOT60
<br />FNMA NOTES
<br />1.50%
<br />7/30/20
<br />456,946.98
<br />2.42%
<br />(8,381.66)
<br />1,405,000
<br />912828C5W
<br />US TREASURY NOTES
<br />3/31/21
<br />1,397,396.48
<br />2.47%
<br />(52,218.58)
<br />4/12/18 4/17/18
<br />955,000
<br />912828Q37
<br />US TREASURY NOTES
<br />1.25%
<br />3/31/21
<br />921,793.73
<br />2.50%
<br />(13,634.68)
<br />485,000
<br />912828C57
<br />TREASLR
<br />W,153.W
<br />2.49%
<br />(18,312.12)
<br />4/12/18 4/17/18
<br />285,000
<br />912828Q78
<br />US TREASURY NOTES
<br />1.37%
<br />4/30/21
<br />277,444.82
<br />2.51%
<br />(6,059.:
<br />5/2/11W 5/4/18
<br />1,780,000
<br />9128281`39
<br />US TREASURY NOTES
<br />1.75%
<br />9/30/19
<br />1,766,275.75
<br />2.43%
<br />(35,218.(b
<br />■
<br />5/2/18 5/4/18 700,000 3137EADG1 FREDDIE MAC NOTES
<br />5/14/18 5/16/18 1,200,000 912828VV9 US TREASURY NOTES
<br />PFM Asset Management LLC
<br />1.75% 5/30/19 700,970.28 2.33% (6,763.;
<br />2.12% 8/31/20 1,192,069.98 2.62% (39,897 v ■
<br />(a
<br />CD
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<br />C9
<br />Account ""0000
<br />23
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